nag_rand_exp (g05sfc) (PDF version)
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NAG Library Manual

NAG Library Function Document

nag_rand_exp (g05sfc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_rand_exp (g05sfc) generates a vector of pseudorandom numbers from a (negative) exponential distribution with mean a.

2  Specification

#include <nag.h>
#include <nagg05.h>
void  nag_rand_exp (Integer n, double a, Integer state[], double x[], NagError *fail)

3  Description

The exponential distribution has PDF (probability density function):
fx = 1a e -x/a if ​x0, fx=0 otherwise.
nag_rand_exp (g05sfc) returns the values
xi = -a lnyi
where yi are the next n numbers generated by a uniform 0,1 generator.
One of the initialization functions nag_rand_init_repeatable (g05kfc) (for a repeatable sequence if computed sequentially) or nag_rand_init_nonrepeatable (g05kgc) (for a non-repeatable sequence) must be called prior to the first call to nag_rand_exp (g05sfc).

4  References

Kendall M G and Stuart A (1969) The Advanced Theory of Statistics (Volume 1) (3rd Edition) Griffin
Knuth D E (1981) The Art of Computer Programming (Volume 2) (2nd Edition) Addison–Wesley

5  Arguments

1:     nIntegerInput
On entry: n, the number of pseudorandom numbers to be generated.
Constraint: n0.
2:     adoubleInput
On entry: a, the mean of the distribution.
Constraint: a>0.0.
3:     state[dim]IntegerCommunication Array
Note: the dimension, dim, of this array is dictated by the requirements of associated functions that must have been previously called. This array MUST be the same array passed as argument state in the previous call to nag_rand_init_repeatable (g05kfc) or nag_rand_init_nonrepeatable (g05kgc).
On entry: contains information on the selected base generator and its current state.
On exit: contains updated information on the state of the generator.
4:     x[n]doubleOutput
On exit: the n pseudorandom numbers from the specified exponential distribution.
5:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

On entry, argument value had an illegal value.
On entry, n=value.
Constraint: n0.
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
On entry, state vector has been corrupted or not initialized.
On entry, a=value.
Constraint: a>0.0.

7  Accuracy

Not applicable.

8  Parallelism and Performance

nag_rand_exp (g05sfc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
Please consult the Users' Note for your implementation for any additional implementation-specific information.

9  Further Comments


10  Example

This example prints five pseudorandom numbers from an exponential distribution with mean 1.0, generated by a single call to nag_rand_exp (g05sfc), after initialization by nag_rand_init_repeatable (g05kfc).

10.1  Program Text

Program Text (g05sfce.c)

10.2  Program Data


10.3  Program Results

Program Results (g05sfce.r)

nag_rand_exp (g05sfc) (PDF version)
g05 Chapter Contents
g05 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2014